| 利率期限结构的样条估计模型及其实证研究 |
| |
| 引用本文： | 吴丹,谢赤.利率期限结构的样条估计模型及其实证研究[J].系统工程,2005,23(1):54-58. |
| |
| 作者姓名： | 吴丹 谢赤 |
| |
| 作者单位： | 湖南大学,工商管理学院,湖南,长沙,410082 |
| |
| 基金项目： | 国家社会科学基金资助项目(03BJY099)，教育部博士点专项科研基金资助项目(20020532005)，全国高校青年教师奖励基金资助项目 |
| |
| 摘 要： | 以B样条为基点，综合研究利率期限结构的样条估计模型，对多种样条模型进行理论推导和参数估计求解，并在此基础上做出实证比较分析。通过比较分析各个模型在利率曲线估计、债券定价和收益率估计等方面的实证结果，可以发现较少节点的三次样条模型是最为理想的。
|
| 关 键 词： | 利率期限结构 零息票利率曲线 远期利率曲线 样条估计 |
| 文章编号： | 1001-4098(2005)01-0054-05 |
Estimating the Term Structure of Interest Rates with Spline-based Models |
| |
| WU Dan,XIE Chi.Estimating the Term Structure of Interest Rates with Spline-based Models[J].Systems Engineering,2005,23(1):54-58. |
| |
| Authors: | WU Dan XIE Chi |
| |
| Abstract: | Using the B-spline basis, this paper presents a comprehensive research on the spline-based estimation models of the term structure of interest rates.Theoretical derivation and parameters' estimation are given,based on which an empirical comparison is made furthermore. By comparing and analysing the empirical results of all models on yield curve estimation, (bonds) pricing and yield estimation, it can be found that the cubic spline model with fewer knots is the best. |
| |
| Keywords: | Term Structure of Interest Rates Zero-coupon Rate Curve Forward Rate Curve Spline Estimation |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
